Globalization and liberalization have heightened the volatility and complexity of financial markets, prompting investors to diversify their portfolios across different asset classes. This study investigates the dynamic interrelationships among the Indian stock market benchmark index (Nifty 50),...

In this article, we study the possible explanatory power of macroeconomic factors that may drive the stock market integration between the Czech Republic, Poland and Hungary (CEE-3) and developed countries, using Germany as a benchmark. Our findings suggest that the recent global financial crisis...

Because implied volatility is essential for pricing options, analyzing derivative strategies and measuring risk in investment portfolios containing derivatives, understanding variations in implied volatility also becomes vital. Aside from a secular trend, volatility clustering and calendar...

Over-the-counter foreign exchange options (OTC-FXOs) are the fourth largest derivatives market in the world. However, the extant literature on their pricing is noticeably thin. We propose a new discrete time exponential-affine multi-factor model, with multiple estimation strategies and pricing...

In order to provide reliable Value-at-Risk (VaR) and Expected Shortfall (ES) forecasts, this paper attempts to investigate whether an inter-day or an intra-day model provides accurate predictions. We investigate the performance of inter-day and intra-day volatility models by estimating the...

This paper revisits some recently found evidence in the literature on the cross-section of stock returns for a carefully constructed dataset of euro area stocks. First, we confirm recent results for U.S. data and find evidence of a negative cross-sectional relation between extreme positive...

We analyze the dynamics of price jumps and the impact of the European debt crisis using the high-frequency data reported by selected stock exchanges on the European continent during the period January 2008 to June 2012. We employ two methods to identify price jumps: Method 1 minimizes the...

We use economic policy uncertainty (EPU) shocks in combination with the mixed data sampling (MIDAS) approach to investigate long-run stock market variances and correlations, primarily for the US and the UK. The US long-run stock market variance depends significantly on US EPU shocks but not on...